Re: GeometricBrownianMotionProcess

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/GeometricBrownianMotionProcess-tp993p994.html

On Tue, 2007-06-12 at 11:51 +0200, [hidden email] wrote:
> When I change GeometricBrownianMotionProcess into
> BlackScholesMertonProcess it works.
> What's wrong with GeometricBrownianMotionProcess ??

The error should be catched earlier and give a clearer message.
However, the European analytic engine implements the lognormal
Black-Scholes formula, so it requires a lognormal Black-Scholes process.
Other processes won't work (and it wouldn't make sense to plug them into
the formula anyway.)

Later,
        Luigi


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